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Convergence Rates of SNP Density Estimators

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Author Info
Fenton, Victor M
Gallant, A Ronald
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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 64 (1996)
Issue (Month): 3 (May)
Pages: 719-27
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Handle: RePEc:ecm:emetrp:v:64:y:1996:i:3:p:719-27

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  1. Ignacio Mauleón, 2006. "Modelling multivariate moments in European Stock Markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(3), pages 241-263, April. [Downloadable!] (restricted)
  2. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  3. Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute. [Downloadable!]
  4. Kyoo il Kim, 2006. "Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities," Working Papers 20-2006, Singapore Management University, School of Economics. [Downloadable!]
  5. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
  6. Ming Liu & Harold H. Zhang, . "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics. [Downloadable!]
  7. Teruko Takada, 2001. "Nonparametric density estimation: A comparative study," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-10. [Downloadable!]
  8. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute. [Downloadable!]
  9. Ignacio Mauleon, Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student’s t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239, June. [Downloadable!] (restricted)
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